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This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...
Persistent link: https://www.econbiz.de/10009714536
equity market returns. My main finding is that equity market time-series momentum works well in the middle valuation regimes … sense, the historical extremes of the valuation ratios and the term spread define boundaries for time-series momentum. To …, increases the R2 in a predictive regression of equity market returns by up to 90% and the R2 in a predictive regression of time …
Persistent link: https://www.econbiz.de/10013245419
applies past volatilities as a timing predictor to mitigate momentum factor underperformance for time intervals spanning the … in relation to different strategies including momentum volatility scaling, risk-based asset allocation, time series …
Persistent link: https://www.econbiz.de/10012866947
Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time … in spanning regressions. However, the trading strategies implied by these regressions are not implementable in real time …
Persistent link: https://www.econbiz.de/10012890204
to past news. This phenomenon creates a positive relation between disagreement and future returns. It also generates time …
Persistent link: https://www.econbiz.de/10011721618
This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...
Persistent link: https://www.econbiz.de/10013113663
volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …
Persistent link: https://www.econbiz.de/10013149486
We propose a decomposition of financial time series into Gaussian subsequences characterized by a constant Hölder …
Persistent link: https://www.econbiz.de/10013134120
Persistent link: https://www.econbiz.de/10014576152
To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset … time series momentum of moving averages over short-time horizons and reversal significantly outperforms, both in-sample and … out-of-sample, the S&P500 and pure strategies based on either time series momentum or reversal only. The results are …
Persistent link: https://www.econbiz.de/10012962880